Stock market indices play a central role in portfolio and risk management and performance evaluation, as well as academic research. This paper presents a fully updated and extended stock market index for the Finnish stock market using new and updated historical databases that cover the period from the establishment of the Helsinki Stock Exchange in October 1912 to the end of 1981. In addition to the all-share market index, four industry indices are presented for the first time. The observed geometric mean market return is 1.034 percent per month (13.14% p.a.). Of the industry indices, the banking sector performed the worst as it was found to have clearly lagged behind in the market, whereas the paper and forest and the metal and manufacturing industries performed the best during the sample period. The results also highlight the importance of taking into account corporate capital actions—which are, historically, often the hardest information to obtain—as they can have a material effect on the index performance.

中文翻译：

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重新审视 1912 年至 1981 年赫尔辛基证券交易所的股票市场指数

股票市场指数在投资组合和风险管理、绩效评估以及学术研究中发挥着核心作用。本文使用涵盖从 1912 年 10 月赫尔辛基证券交易所成立到 1981 年底这一时期的新的和更新的历史数据库，为芬兰股票市场提供了一个完全更新和扩展的股票市场指数。市场指数中，首次推出四项行业指数。观察到的几何平均市场回报率为每月 1.034%（每年 13.14%）。在行业指数中，银行业表现最差，明显落后于市场，而造纸和林业以及金属和制造业在样本期内表现最好。研究结果还强调了考虑企业资本行为的重要性——从历史上看，企业资本行为往往是最难获得的信息——因为它们会对指数表现产生重大影响。